A general maximum principle for progressive optimal stochastic control problems with Markov regime-switching

DOI10.1051/COCV/2022054zbMath1503.93051OpenAlexW4293196395WikidataQ114011424 ScholiaQ114011424MaRDI QIDQ5041366

Yuanzhuo Song, Zhen Wu

Publication date: 13 October 2022

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/cocv/2022054

zbMATH Keywords

maximum principleMarkov chainregime-switchingspike variation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Related Items (3)

Maximum principle for conditional mean-field FBSDEs systems with regime-switching involving impulse controls ⋮ Second‐order necessary optimality conditions for discrete‐time stochastic systems ⋮ A general maximum principle for progressive optimal control of partially observed mean-field stochastic system with Markov chain

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